Energy and Commodity Data
Forward Curves with Seasonality and Trends
Short Term Price Forecasting
Stochastic Modeling and Monte Carlo Simulation
Energy and Commodity Vanilla, Exotic and Spread Option Pricing
One single web-platform integrating market data, with high-performance analytics, covering all the needs and requirements of trading, planning, optimization and risk management.
No third party solution is required. QR Analytics™ are fully integrated: forward curves, stochastic models and Monte Carlo simulations of volatility and correlation. Models are audited, calibrated and executed automatically 24/7, with live data reporting.Extensive instruments coverage: spot, indices, forwards, futures, swaps, exchange traded and OTC options, derivatives, structured products, ABS, MBS.
Real-time comprehensive holistic risk valuation, reporting, visibility and data management. Market, Credit, Exposure, Cash, Liquidity, Regulatory and Treasury Risk. Lightening fast configuration in months. Leverage numerous risk analytics models and reports.Extensive multi-asset class risk: energy, commodity, fixed income, interest rates, money market, repos, debts, deposits, FX, mutual funds, stocks, indices.
Next Generation Dual-use Cloud On-site Architecture
QR System is made of 1 universal software with all functional capabilities, for on-site and QR Cloud. Actual custom implementation for clients are configurations entered in a database, which is portable from the cloud to on-site.
We offer a novel quick implementation methodology. QR Cloud is a live 24/7 platform with countless ready-to-use configuration templates. Copy any selected configuration to a custom instance, on-site or on QR Cloud.
QR Energy & Commodity Data Analytics Cloud Services
Ready-to-use 24/7 supercomputing data and analytics cloud services for world energy and commodity markets and exchanges.
Analytics models appropriate for each data type are calibrated and executed automatically 24/7. Outputs are available in reports and for export.
Choose the desired service for world energy and commodity physical and financial markets: forward and spot curves. Stochastic modeling of spot and forward prices and Monte Carlo simulation. Energy and commodity option pricing.
Dedicated Private Cloud or On-site Implementation are suited alternatives for larger companies wishing to control the system, data and processes.
New Commercial Paradigm
Whether on the cloud or on-site, no hefty initial license. Just pay 1 single yearly subscription fee for license, cloud supercomputing, maintenance, on-going upgrades and support.
Start with an actual Trial to test our platform and the quality of our team. Continue if satisfied, or cancel if the trial does not meet your expectations.
Ready for use out-of-the-box, no development, coding or customization required.
Cost-effective lightening fast implementation. Save years and millions. Go live in weeks.
Analytics & Curves as Cloud Services, or Implemented On-site
Worlwide Market Coverage
Energy Markets: Crude oil, natural gas, LNG, fuel, refined products and derivatives, coal, chemicals, emission, weather.
Commodity Markets: Agricultural products, livestock, food, beverages, energy, fuel, biofuels, base and precious metals, chemicals, manufacturing of industrial and consumer goods and products.
QR Forward Curves™ Module
Monthly Forward Curves fitted for years forward.
Daily Spot Curves fitted for a few months forward.
Implied Volatility Curves for forwards, fitted for years forward.
Daily and monthly meter and load forecasting in power and gas markets.
Custom models. We help you create and maintain your own forward curve models with complex mathematical rules and involving other curves. E.g., when there isn't sufficient underlying data, define an index via mathematics formulas involving other base curves for which there are partial data quotes. Then point the spot, forward or load curve to the index. This is useful for illiquid physical hubs and markets in energy and commodity markets.
On a daily basis, we fetch forward quotes from multiple sources. Some are liquid, some have gaps or are missing. Alternatively, you can procure and upload your own data. The forward curve model is fitted automatically on these data.
For load and meter forecasting we use historic meter reading, and possible forward estimated from you, if any.
Model & Output
The models we use are multi-frequency Fourier series, with advanced interpolation toolboxes specifically designed for forward curves. They capture multiple seasonal shapes, cycles, and trends.
Automatic interpolation smoothly fills in missing quotes or gaps in the data, alleviating market illiquidity.
Automatic extrapolation allows to build curves years out, far beyond the initial data provided, alleviating market illiquidity.
QR Monte Carlo™ applies to any security type: equity, FX, interest rates, energy, commodity or any data for that matter.
Range of advanced 1 and 2-factor stochastic differential equation models capturing mean reversion, trend, seasonality, and stochastic volatility. Jump processes can be added or turned off. These are far more powerful than time series models or simple volatility matrix.
Simulate very realistic (non-flat) term structure of forward markets. The Monte Carlo engine automatically calibrates, then builds or simulates the spot and forward curves together in a coherent term structure. A Market Price of Risk is estimated for every forward position.
Execute in seconds, thousands of simulation scenarios for one price curve.
Full statistics is created via Monte Carlo simulation, with visual display of simulation paths and the full risk cone as it expands in time.
A unique and powerful option pricing environment allowing independent option pricing for all energy and commodity option types: European, American, Asian, and path-dependent options, across all underlying energy, commodity and FX traded instruments.
Single asset, spread and basket option pricing.
Exchange traded options.
Combined with our Monte Carlo simulation engine, we price options and their VaR, at the same time.